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Tuesday, November 4, 2014

Data Technical News #2014 - 35
UPDATED 11/24/2014: Nasdaq PHLX Announces PHLX Market Data Feed Updates

Markets Impacted:

Products Impacted:

  • PHLX Orders
  • TOPO Plus Orders
  • PHLX Depth of Market

Contact Information:

What you need to know:

  • Updated 11/24/2014: On Tuesday, December 2, 2014, Nasdaq PHLX will begin the rollout of Implied Orders (also referred to as ‘Legging Orders’). The updated rollout schedule is as follows:
  • Tuesday, December 2, 2014 – Symbols CAT, CIEN, and DIA
  • Thursday, December 4, 2014 – All additional symbols in alpha range 'A' through 'D'
  • Monday, December 8, 2014 – All remaining symbols
  • Implied Orders are limit orders generated by the Exchange on behalf of Complex Orders which represent one leg of a two-legged Complex Order. Implied Orders are automatically generated on behalf of Complex Orders resting on the top of the Complex Order Book so that they are represented at the best bid and/or offer on the Exchange for the individual legs. Implied Orders serve to attract interest to trade with the resting Complex Order for which they represent.
  • Please note: The bandwidth recommndation for the PHLX Orders data feed has been increased to 10 Mb.

What are the PHLX data feed updates and when will they be implemented?


Expected Implementation Date Data Feed Update Details
Tuesday, December 2nd
  • Symbols CAT, CIEN, and DIA

    • Thursday, December 4th
  • All additional symbols in alpha range 'A' through 'D'

    • Monday, December 8th
  • All remaining symbols
    •
      PHLX Orders
      PHLX Depth of Market
    • Implied Orders – Adding Implied Orders to the Simple Order Message on PHLX Orders and the Add Order Message on PHLX Depth of Market.

    Are there bandwidth changes associated with the update?


    Yes, due to several enhancements and updates since the launch of the PHLX Orders data feed, the bandwidth recommendation for the data feed has been increased to 10 Mb.

    What is the PHLX Depth of Market data feed?


    The PHLX Depth of Market data feed contains the full depth of the quotes and orders on PHLX. This also includes opening imbalance data and last trade data.

    What is the PHLX Orders data feed?


    The PHLX Orders data feed contains the full depth of the simple and complex order book. This includes new orders and changes to orders resting on the PHLX book for all PHLX listed options. It also includes opening imbalance data, Price Improvement XL (PIXL) data and Complex Order Live Auction (COLA) information.

    PHLX Orders is currently available as a standalone feed or as part of the TOPO Plus Orders data product.

    How do firms order PHLX Orders or TOPO Plus Orders?


    To order these products, firms must submit the appropriate documentation and receive prior approval from Nasdaq:

    • Data Feed Request Form: Online or Hard Copy - Required for all firms. New firms must use the hard copy PDF.
    • Nasdaq Global Data Agreement - Required for all firms prior to initiation of the first Nasdaq data service only.
    • System Application - Required for firms only if the data will be displayed or used in a system that is not yet approved by Nasdaq.

    For the complete list of Nasdaq and UTP market data agreements and forms, please refer to the Nasdaq Global Data Products Agreements and Forms page.

    Where can I find the PHLX market data technical interface specifications?

    The specification document is available on the U.S. Derivatives technical specifications page on the Nasdaq Trader® website. A direct link to the spec is available below for your convenience.

    PHLX Orders 1.70.6 Technical Specification Document

    PHLX Depth 1.30 Technical Specification Document

    PHLX Glimpse 1.20 Technical Specification Document

    Where can I find additional information?


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